Implementing Markovian models for extendible Marshall-Olkin distributions

DOI10.1515/DEMO-2022-0151MaRDI QIDQ6160717zbMATH OpenOpenAlexFDO

Authors Henrik Sloot

Publication date 26 June 2023

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2022-0151

zbMATH Keywords

exchangeabilitylack of memoryMarkov processesMarshall-Olkin distributionmultivariate survival analysissampling algorithm

Mathematics Subject Classification ID

Exchangeability for stochastic processes (60G09) Applications of continuous-time Markov processes on discrete state spaces (60J28) Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Sampling exchangeable and hierarchical Marshall-Olkin distributions
• The deFinetti representation of generalised Marshall-Olkin sequences
• A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Extendibility of Marshall-Olkin distributions and inverse Pascal triangles

Cites work

• A Multivariate Exponential Distribution
• An Efficient Method for Generating Discrete Random Variables with General Distributions
• An introduction to copulas.
• Bernstein functions. Theory and applications
• scientific article; zbMATH DE number 3896009 (Why is no real title available?)
• scientific article; zbMATH DE number 4004880 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3558659 (Why is no real title available?)
• scientific article; zbMATH DE number 3802727 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lévy-frailty copulas
• Markov chains. Gibbs fields, Monte Carlo simulation and queues
• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Numerical analysis.
• On the tight constant in the multivariate Dvoretzky-Kiefer-Wolfowitz inequality
• Sampling exchangeable and hierarchical Marshall-Olkin distributions
• Simulating Copulas
• The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality

Cited in

(2)

• Sampling exchangeable and hierarchical Marshall-Olkin distributions
• The deFinetti representation of generalised Marshall-Olkin sequences

This page was built for publication: Implementing Markovian models for extendible Marshall-Olkin distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6160717)